diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibration.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index ee9a53e1..566b0052 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -36,7 +36,7 @@ set.singlenamesdata <- function(index, tradedate){ tenor <- names(cds.cs$cdsdates) index$portfolio <- list() for(i in seq_along(quotes$tickers)){ - sanequotes <- which(yearFrac(tradedate,cds.cs$cdsdates)*quotes$spread_curve[i, tenor]*1e-4+ + sanequotes <- which(yearFrac(tradedate+2,cds.cs$cdsdates)*quotes$spread_curve[i, tenor]*1e-4+ quotes$upfront_curve[i, tenor] * 0.01>0) quote <- list(ticker = quotes$ticker[i], running = quotes$spread_curve[i, tenor[sanequotes]] * 1e-4, |